FOREIGN EXCHANGE PRODUCTS AND STRATEGIES
Purpose: Selling foreign exchange products including spot and forwards, cross–rate exchanges, cross currency interest rate swaps, value-added strategies
9:00 – 10:30 ² Overview of the Foreign Exchange Market
History of exchange rate volatility
The spot market
The forward market
Interest and exchange rate parity
Long vs. short positions
Value and settlement dates
10:30 – 10:45 Break
10:45 – 12:30 ² Spot Market
U.S. vs. international quotations
Participants and their roles
The trading screen
Identifying appreciation/depreciation
Adjusting and monitoring positions
² The Forward Market
Definition and functioning
Interest rate parity pricing: premiums/discounts
Arbitrage
Quantifying risks
Domestic vs. Euro–rate contracts
Swap points
12:30 – 1:30 Lunch
1:30 – 3:00 ² Strategic Applications and Risks of Foreign Currency Swaps
Types of swaps: fixed–to–fixed, cross currency coupons, asset swaps, strips of forwards and comparisons to swaps
The customer's view: designing a risk profile, financial engineering
The trader's view: cross currency interest rate volatility
Risks: how to value exposure?
3:00 – 3:15 Break
3:15 – 5:00 ² Mini–Case: managing interest and FX exposure
Customer outlook
Bank Trader outlook
Structuring FX caps and floors using options